The numbers below were generated using the attached (but occur in more complicated setups as well).
MWE.mod (439 Bytes)
The simulated moments from a run of 10,000,000 periods (stoch_simul(order = 2, periods=10000000)) are:
The reported kurtosis for Y_SHOCK looks wrong. Y_SHOCK is normal, so should have a kurtosis of around 3?
And it does, specifically running the matlab command below gives what you’d expect:
which is far off the 0.001278 reported by dynare?
I may be missing something, of course, but otherwise it looks like dynare isn’t actually reporting the sample kurtosis?
Thanks for reading and potentially looking into this,